Robust Techniques in Quantitative Finance

University of Oxford, 3-7 September 2018

Since the seminal work of Knight, the distinction between risk and uncertainty has played a crucial role in Economics and Finance. Robust methods address the latter and, in the wake of the financial crisis, their importance has been increasingly appreciated. In particular, such questions and the corresponding mathematical techniques became one of the most active fields in Mathematical Finance.

The conference will bring together an interdisciplinary group of researches with interests in Financial Mathematics, Finance and Economics, with model uncertainty as the unifying theme. It promises to be an exciting meeting exploring the state-of-the-art, future directions and offering space and time for discussions and interactions.

This meeting follows in the footsteps of three previous meeting which we have organised in Oxford in 2010, 2016 and 2017. While the previous ones were two days focused workshops, this time we organise a much larger and broader 5-day meeting.

Thank you

We are grateful to all who participated and thank you for the wonderful feedback we have received after the conference. The meeting was truly inspiring and we look forward to all the new research that comes out of it!

Program

The final conference program is available here. PDFs of talks and posters are found via individual links below.

Plenary Speakers

Mathias Beiglböck — Causal transport and its role in mathematical finance

Vienna University of Technology

Laurence Carassus — Pricing without martingale measure

De Vinci Pole Universitaire and University of Reims

Rama Cont — Stochastic calculus without probability: Pathwise integration and functional calculus for functionals of paths with arbitrary Hölder regularity

University of Oxford

Fabio Maccheroni — Absolute and relative ambiguity aversion: A preferential approach

Bocconi University

Marco Maggis — Topological issues arising in Pricing Theory under Model Uncertainty

University of Milan

Massimo Morini — MODEL RISK, 2018: a practitioner’s point of view

Banca IMI and Universita Bocconi

Marcel Nutz — Convergence to the Mean Field Game Limit: A Case Study

Columbia University

Ruodu Wang — Robustness issues on regulatory risk measures

University of Waterloo

Speakers

Vilen Abramov — A Practical Guide to Market Risk Model Validations - Focusing on VaR and TVaR

BB&T Bank

Anna Aksamit — Robust pricing–hedging duality for American options in discrete time financial markets

University of Sydney

Andrew Allan — Parameter Uncertainty in the Kalman–Bucy Filter

University of Oxford

Dirk Becherer — Good Deal Hedging and Valuation under Combined Uncertainty about Drift & Volatility

Humboldt Universitat zu Berlin

Patrick Beißner — The Term Structure of Sharpe Ratios

ANU School of Economics

Martin Brückerhoff-Plückelmann — A Left-Monotone Solution to the Peacock Problem

University of Bonn

Matteo Burzoni — On the Martingale Selection Problem and its applications

ETH Zurich

Chau Ngoc Huy — Robust utility maximization in markets with transaction costs

Alfred Renyi Institute of Mathematics

Tao Chen — Adaptive Robust Stochastic Control and Statistical Surrogates

University of California, Santa Barbara

Henry Chiu — On pathwise quadratic variation for càdlàag functions

Imperial College London

Samuel Cohen — Paradoxes in data-driven robust valuation

University of Oxford

Hadrien De March — Multi-dimensional Martingale Optimal Transport: Local structure and Numerics

Ecole Polytechnique

Stephan Eckstein — Superhedging and distributionally robust optimization with neural networks

University of Konstanz

Tolulope Rhoda Fadina — Affine processes under parameter uncertainty

University of Freiburg

Sigrid Källblad— Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod embedding problem

Vienna University of Technology

Sojung Kim— Robust copula modeling for assessing conditional VaR via stochastic gradient descent optimization

Gottfried Wilhelm Leibniz Universität Hannover

Michael Kupper — A semigroup approach to nonlinear PDEs

University of Konstanz

Felix-Benedikt Liebrich — Uncertainty Robust Spaces

LMU Munich

Eyal Neuman — Protecting Target Zone Currency Markets from Speculative Investors

Imperial College London

Dominic Norgilas — The Left-Curtain martingale coupling and the American Put in the presence of atoms

University of Warwick

David Prömel — Pathwise pricing-hedging duality via Vovk’s sub-linear integrals

University of Oxford

Frank Riedel — Viability and Arbitrage under Knightian Uncertainty

Bielefeld University

Pietro Siorpaes — Structure of martingale transports in Banach spaces

Imperial College London

Johannes Wiesel — Robust modelling of financial markets in discrete time

University of Oxford

Daisuke Yoshikawa — —Pairs trading under model uncertainty

Hokkai Gakuen University

Yufei Zhang — A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers

University of Oxford

Poster Presentations

Farid AitSahlia — American Options Under Stochastic Volatility: Parameter Estimation and Pricing Efficiency

University of Florida

Andro Mercep — Deep self-normalizing network for credit risk assessment

University of Zagreb

Max Nendel— Markov chains under nonlinear expectation

Bielefeld University

Vladimir Petrov — Multidimensional Directional-Change Intrinsic Time: Scaling Laws and Extension of One-Dimensional Approach

University of Zurich

Martin Tegner A probabilistic approach to local volatility

University of Oxford

Lukasz Treszczotko — From Hawkes-type processes to stochastic volatility

University of Warsaw

Tao Wu — A multi-curve random field LIBOR market model

Illinois Institute of Technology

Hai Zhang — Liquidity risks, transaction costs and online portfolio selection

Strathclyde Business School

Other Participants

Jonathan Chetwynd-Diggle

University of Oxford

Soeun Choi

Alessandro Doldi

Benjamin Hillyard

University of Warwick

Vitthal Kulkarni

Avi Mayorcas

Rosario Monter

Sina Nejad

University of Oxford

Jan Obloj

University of Oxford

Hyungbin Park

Seoul National University

Imanol Perez Arribas

Enoch Quaye

Benjamin Robinson

Nizar Touzi

Ecole Polytechnique

Minhyeok Woo

KAIST Korea

Issa Zacharia

University of Sidney

Registration

Registration is now closed. The conference fee covers the cost of your participation, the conference dinner as well as lunches, coffee breaks and wine reception. The fee is waived for PhD students. As part of registration, you will have an option to purchase one of pre-booked B&B rooms located in the vicinity of the conference venue.

The program of talks is now closed.

Scientific Committee

Beatrice Acciaio, Bruno Bouchard, Michael Kupper, Jan Obloj, Frank Riedel, Alexander Schied, Nizar Touzi

Venues: Conference, Social events, Accommodation

The meeting will be held in the Mathematical Institute, University of Oxford which offers world class conference facilities in the heart of Oxford. There will be a wine reception on Monday evening in the Common room. The conference dinner will be held on Tuesday in St John's College Oxford. Punting will be organised at the Magdalen bridge on Thursday.

Most participants who were offered accommodation, or booked it via the online store, are staying at Keble College. Unless we emailed you to say otherwise, please assume you are staying at Keble. Please check in at the Porter's Lodge (located at the main entrance to the college on Parks Road, OX1 3PG, T: 01865 282505, see map). The Porter's Lodge is manned 24 hours a day. Checkin time is 2pm, check out is 10am (but you may be allowed to check in early or check out late if rooms are not being used and, in any case, they can store your luggage). Subject to our pre-booked capacity, delegates staying in standard rooms may be upgraded free of charge to en suite rooms.

The workshop is hosted by the Mathematical Institute and is funded by the European Research Council under the European Union's Seventh Framework Programme (FP7/2007-2013) / ERC grant agreement no. 335421. We also acknowledge hospitality and support from St John's College.

The conference is organised by Gaoyue Guo (University of Oxford) and Jan Obloj (University of Oxford). Please feel free to contact us with any questions.